About

About the Model

The Systematic Tactical Allocation of Risk (STARisk) model is based on two of my research papers:

1) Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation,  Journal of Wealth Management, summer 2012

2) Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations, Journal of Portfolio Management, summer 2012

The STARisk model takes risks when the returns appear to represent fair compensation and avoids both highly volatile and uncertain market conditions. The idea is to take advantage of time-varying risk premiums, driven by investors’ cycling between risk aversion and risk adoration. The model adjusts expected return and tail-risk target considering short-term momentum, valuation, and market regimes. We define tail-risk with Conditional Value-at-Risk (CVaR). Then the state-of-art Mean-CVaR optimization is  implemented to achieve the optimized allocations.

The simplified long-only fully-invest version published in this blog can be easily implemented through indexed ETFs with great liquidity. I hope it can help to illuminate the changing nature of global market risks and direct accordingly asset allocation and risk decisions.

About Myself

My name is Peng Wang.  I work at the Georgetown University Investment Office as a quantitative analyst, developing dynamic asset allocation model to achieve improved performance on the public side, and endowment liquidity model to help monitor and manage the liquidity risk of the endowment with explicit treatment of the cash flows to / from private managers and university budget need. I also develop risk management system and manage the fixed income and public commodity portfolio.

I obtained a master’s degree from the Physics Department at Georgetown University and is currently completing thesis research toward a PhD in physics with a concentration in computer modeling and simulations. I hold a Bachelor of Science degree in physics and economics from Peking University (Beijing, China). And I am a CFA charter holder.

I live in the greater Washington DC area. If you are in the neighborhood drop me a line.

Email: pw35@georgetown.edu

Find me on LinkedlIn

 

The Team

Yizhi Ge is a PhD candidate in the physics department at Georgetown University. He works as a quantitative intern at the Investment Office. Through the internship, he as gained extensive experience in asset allocation, risk management and liquidity monitoring. He has a Bachelor of Science in physics from Shanghai Jiao Tong University (Shanghai, China) . He is a CFA Candidate and has passed all exams.

Email: geyizhi@msn.com